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通过事件研究方法,对我国A股市场中媒体关注负效应的存在性进行了探索,并且从公司特征角度对其影响因素进行了分析。结果表明,我国A股市场上受到媒体关注的公司在事件期内存在显著为负的累积超额收益率,质量较差的公司受其影响更为明显。累积超额收益率与权益的账面/市值比、资产负债率、资产收益率以及职务累积显著正相关,而规模和消息类型的影响并不显著。在进一步控制了反映我国市场特征的机构持股比例和反应交易量冲击的异常交易量后,原有结论不变,并且发现个人投资者比例的增加将加重媒体效应。
By means of event research, this paper explores the existence of the negative effect of media attention in China’s A-share market, and analyzes its influencing factors from the perspective of company characteristics. The results show that there is a significant negative cumulative excess return rate in the A-share market during the event period, and the companies with poor quality are more obviously affected by the media. Cumulative excess rate of return and equity book / market ratio, asset-liability ratio, return on assets and job accumulation was significantly positively correlated, and the size and type of message is not significant. After further controlling the abnormal trading volume of institutional ownership and reaction volume impacting the market characteristics of our country, the original conclusion remains unchanged, and we find that the increase of the proportion of individual investors will aggravate the media effect.